EconPapers    
Economics at your fingertips  
 

Sensitivity Analysis of Values at Risk

Christian Gourieroux, J. P. Laurent and Olivier Scaillet ()
Additional contact information
J. P. Laurent: Universite de Lyon I and CREST

No 162, Econometric Society World Congress 2000 Contributed Papers from Econometric Society

Abstract: The aim of this paper is to analyze the sensitivity of Value at Risk (VaR) with respect to portfolio allocation. We derive analytical expressions for the first and second derivatives of the Value at Risk, and explain how they can be used to simplify statistical inference and to perform a local analysis of the Value at Risk. An empirical illustration of such an analysis is given for a portfolio of French stocks.

Date: 2000-08-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (98) Track citations by RSS feed

Downloads: (external link)
http://fmwww.bc.edu/RePEc/es2000/0162.pdf main text (application/pdf)

Related works:
Journal Article: Sensitivity analysis of Values at Risk (2000) Downloads
Working Paper: Sensitivity Analysis of Values at Risk (2000) Downloads
Working Paper: Sensitivity Analysis of Values at Risk (2000) Downloads
Working Paper: Sensitivity analysis of values at risk (2000)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ecm:wc2000:0162

Access Statistics for this paper

More papers in Econometric Society World Congress 2000 Contributed Papers from Econometric Society Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F. Baum ().

 
Page updated 2019-12-06
Handle: RePEc:ecm:wc2000:0162